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Risk-Adjusted Forecasts of Oil Prices. (2006). Pisani, Massimiliano ; Pagano, Patrizio.
In: Temi di discussione (Economic working papers).
RePEc:bdi:wptemi:td_585_06.

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Cited: 11

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Cites: 15

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  1. Using Market Expectations to Test for Speculative Bubbles in the Crude Oil Market. (2018). Peel, David ; Pavlidis, Efthymios ; Paya, Ivan.
    In: Journal of Money, Credit and Banking.
    RePEc:wly:jmoncb:v:50:y:2018:i:5:p:833-856.

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  2. The Price of Oil – Will it Start Rising Again?. (2013). Zipperer, Vera ; Koske, Isabell ; Fournier, Jean-Marc ; Wanner, Isabelle.
    In: OECD Economics Department Working Papers.
    RePEc:oec:ecoaaa:1031-en.

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  3. The Impact of Monetary Policy Shocks on Commodity Prices. (2013). Pagano, Patrizio ; Lombardi, Marco ; Anzuini, Alessio.
    In: International Journal of Central Banking.
    RePEc:ijc:ijcjou:y:2013:q:3:a:4.

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  4. Macroeconomic effects of precautionary demand for oil. (2013). Pisani, Massimiliano ; Pagano, Patrizio ; Anzuini, Alessio.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_918_13.

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  5. Macro-Hedging for Commodity Exporters. (2010). Sandri, Damiano ; Jeanne, Olivier ; Borensztein, Eduardo.
    In: 2010 Meeting Papers.
    RePEc:red:sed010:832.

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  6. What do we learn from the price of crude oil futures?. (2010). Kilian, Lutz ; Alquist, Ron.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:25:y:2010:i:4:p:539-573.

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  7. REGIME-SWITCHED VOLATILITY OF BRENT CRUDE OIL FUTURES WITH MARKOV-SWITCHING ARCH MODEL. (2009). CHIU, TIEN-YU ; Shieh, Shwu-Jane .
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:12:y:2009:i:02:n:s021902490900521x.

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  8. Macro-Hedging for Commodity Exporters. (2009). Sandri, Damiano ; Jeanne, Olivier ; Borensztein, Eduardo.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:15452.

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  9. Macro-Hedging for Commodity Exporters. (2009). Sandri, Damiano ; Jeanne, Olivier ; Borensztein, Eduardo.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7513.

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  10. Forecasting the price of crude oil via convenience yield predictions. (2007). Knetsch, Thomas.
    In: Journal of Forecasting.
    RePEc:jof:jforec:v:26:y:2007:i:7:p:527-549.

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  11. Oil supply news in a VAR: Information from financial markets. (2007). Pisani, Massimiliano ; Pagano, Patrizio ; Anzuini, Alessio.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_632_07.

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References

References cited by this document

  1. Chernenko, Sergey V., Krista B. Schwarz and Jonathan H. Wright (2004) The Information Content of Forward and Futures Prices: Market Expectations and the Price of Risk, Board of Governors of the Federal Reserve System, International Finance Discussion Papers, No. 808.
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  2. Chinn, Menzie, Michael LeBlanc, and Olivier Coibion (2005) The Predictive Content of Energy Futures: An update on Petroleum, Natural Gas, Heating Oil and Gasoline, NBER working paper No. 11033.

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  6. Considine, Timothy J. and Donald F. Larson (2001) Risk Premiums on Inventory Assets: The Case of Crude Oil and Natural Gas, The Journal of Futures Markets, vol. 21, pp. 109-126.

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  8. Finn, Mary G. (2000), Perfect Competition and the Effects of Energy Price Increases on Economic Activity, Journal of Money Credit and Banking, vol. 32, pp. 400-416.

  9. Goldfeld, Stephen M. and Richard E. Quandt (1965) Some Tests for the Homoscedasticity, Journal of the American Statistical Association, vol. 60, pp. 539-547.
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  10. Gorton, Gary and K. Geert Rouwenhorst (2004), Facts and Fantasies about Commodity Futures, NBER working paper No. 10595.

  11. Hansen, Bruce (1992), Testing for parameter instability in linear models Journal of Policy Modeling, vol. 14, pp. 517-533.

  12. Lynch, Michael C. (2002), Causes of oil price volatility, paper presented at the Eight International Energy Forum, Osaka, Japan.
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  13. Moosa, Imad A., and Nabeel E. Al-Loughani (1994) Unbiasedness and Time Varying Risk Premia in the Crude Oil Futures Market. Energy Economics, vol. 16, pp. 99-105.

  14. Pindyck, Robert (2001) The dynamics of commodity spot and futures markets: a primer, The Energy Journal, vol. 22, pp. 1-29.

  15. Sanders, Dwight R., Keith Boris and Mark Manfredo (2004) Hedgers, funds, and small speculators in the energy futures markets: an analysis of the CFTCs Commitments of Traders reports, Energy Economics, vol. 26, pp. 425-445 Svensson, Lars E. O. (2005) Oil prices and ECB Monetary Policy, manuscript, www.princeton.edu/svensson/papers/ep501.pdf (*) Requests for copies should be sent to: Banca d'Italia Servizio Studi Divisione Biblioteca e pubblicazioni Via Nazionale, 91 00184 Rome (fax 0039 06 47922059). They are available on the Internet www.bancaditalia.it. RECENTLY PUBLISHED TEMI (*).

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  23. Risk-Adjusted Forecasts of Oil Prices. (2006). Pisani, Massimiliano ; Pagano, Patrizio.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_585_06.

    Full description at Econpapers || Download paper

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